BlackScholesModelBuilder Class Reference

#include <ored/model/blackscholesmodelbuilder.hpp>

Inheritance diagram for BlackScholesModelBuilder:

Collaboration diagram for BlackScholesModelBuilder:

Public Member Functions
	BlackScholesModelBuilder (const std::vector< Handle< YieldTermStructure > > &curves, const std::vector< QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > > &processes, const std::set< Date > &simulationDates, const std::set< Date > &addDates, const Size timeStepsPerYear=0, const std::string &calibration="ATM", const std::vector< std::vector< Real > > &calibrationStrikes={})
	BlackScholesModelBuilder (const Handle< YieldTermStructure > &curve, const QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > &process, const std::set< Date > &simulationDates, const std::set< Date > &addDates, const Size timeStepsPerYear=0, const std::string &calibration="ATM", const std::vector< Real > &calibrationStrikes={})
std::vector< QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > >	getCalibratedProcesses () const override
Public Member Functions inherited from BlackScholesModelBuilderBase
	BlackScholesModelBuilderBase (const std::vector< Handle< YieldTermStructure > > &curves, const std::vector< QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > > &processes, const std::set< Date > &simulationDates, const std::set< Date > &addDates, const Size timeStepsPerYear)
	BlackScholesModelBuilderBase (const Handle< YieldTermStructure > &curve, const QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > &process, const std::set< Date > &simulationDates, const std::set< Date > &addDates, const Size timeStepsPerYear)
Handle< BlackScholesModelWrapper >	model () const
void	forceRecalculate () override
bool	requiresRecalibration () const override
Public Member Functions inherited from ModelBuilder
void	recalibrate () const
virtual void	forceRecalculate ()
virtual bool	requiresRecalibration () const=0

Protected Member Functions
std::vector< std::vector< Real > >	getCurveTimes () const override
std::vector< std::vector< std::pair< Real, Real > > >	getVolTimesStrikes () const override
Protected Member Functions inherited from BlackScholesModelBuilderBase
	BlackScholesModelBuilderBase (const Handle< YieldTermStructure > &curve, const QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > &process)
virtual void	setupDatesAndTimes () const
void	performCalculations () const override
bool	calibrationPointsChanged (const bool updateCache) const

Private Attributes
const std::string	calibration_
const std::vector< std::vector< Real > >	calibrationStrikes_

Additional Inherited Members
Protected Attributes inherited from BlackScholesModelBuilderBase
const std::vector< Handle< YieldTermStructure > >	curves_
const std::vector< QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > >	processes_
const std::set< Date >	simulationDates_
const std::set< Date >	addDates_
const Size	timeStepsPerYear_
std::set< Date >	effectiveSimulationDates_
TimeGrid	discretisationTimeGrid_
RelinkableHandle< BlackScholesModelWrapper >	model_
bool	forceCalibration_ = false
QuantLib::ext::shared_ptr< MarketObserver >	marketObserver_
std::vector< Handle< BlackVolTermStructure > >	vols_
std::vector< Handle< YieldTermStructure > >	allCurves_
CalibrationPointCache	cache_

Detailed Description

Definition at line 34 of file blackscholesmodelbuilder.hpp.

Constructor & Destructor Documentation

BlackScholesModelBuilder() [1/2]

BlackScholesModelBuilder	(	const std::vector< Handle< YieldTermStructure > > &	curves,
		const std::vector< QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > > &	processes,
		const std::set< Date > &	simulationDates,
		const std::set< Date > &	addDates,
		const Size	timeStepsPerYear = 0,
		const std::string &	calibration = "ATM",
		const std::vector< std::vector< Real > > &	calibrationStrikes = {}
	)

Definition at line 25 of file blackscholesmodelbuilder.cpp.

    : BlackScholesModelBuilderBase(curves, processes, simulationDates, addDates, timeStepsPerYear),
      calibration_(calibration),
      calibrationStrikes_(calibrationStrikes.empty() ? std::vector<std::vector<Real>>(processes.size())
                                                     : calibrationStrikes) {
    QL_REQUIRE(calibrationStrikes_.size() == processes.size(),
               "calibrationStrikes size (" << calibrationStrikes_.size() << ") must match processes size ("
                                           << processes.size() << ")");
}

BlackScholesModelBuilder() [2/2]

BlackScholesModelBuilder	(	const Handle< YieldTermStructure > &	curve,
		const QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > &	process,
		const std::set< Date > &	simulationDates,
		const std::set< Date > &	addDates,
		const Size	timeStepsPerYear = 0,
		const std::string &	calibration = "ATM",
		const std::vector< Real > &	calibrationStrikes = {}
	)

Definition at line 39 of file blackscholesmodelbuilder.cpp.

    : BlackScholesModelBuilderBase(curve, process, simulationDates, addDates, timeStepsPerYear),
      calibration_(calibration), calibrationStrikes_(1, calibrationStrikes) {}

Member Function Documentation

getCalibratedProcesses()

std::vector< QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > > getCalibratedProcesses ( ) const

overridevirtual

Implements BlackScholesModelBuilderBase.

Definition at line 49 of file blackscholesmodelbuilder.cpp.

                                                       {
    // nothing to do, return original processes
    return processes_;
}

getCurveTimes()

std::vector< std::vector< Real > > getCurveTimes ( ) const

overrideprotectedvirtual

Implements BlackScholesModelBuilderBase.

Definition at line 54 of file blackscholesmodelbuilder.cpp.

                                                                         {
    std::vector<Real> timesExt(discretisationTimeGrid_.begin() + 1, discretisationTimeGrid_.end());
    for (auto const& d : addDates_) {
        if (d > curves_.front()->referenceDate()) {
            timesExt.push_back(curves_.front()->timeFromReference(d));
        }
    }
    std::sort(timesExt.begin(), timesExt.end());
    auto it = std::unique(timesExt.begin(), timesExt.end(),
                          [](const Real x, const Real y) { return QuantLib::close_enough(x, y); });
    timesExt.resize(std::distance(timesExt.begin(), it));
    return std::vector<std::vector<Real>>(allCurves_.size(), timesExt);
}

getVolTimesStrikes()

std::vector< std::vector< std::pair< Real, Real > > > getVolTimesStrikes ( ) const

overrideprotectedvirtual

Implements BlackScholesModelBuilderBase.

Definition at line 68 of file blackscholesmodelbuilder.cpp.

                                                                                             {
    std::vector<std::vector<std::pair<Real, Real>>> volTimesStrikes;
    for (Size i = 0; i < processes_.size(); ++i) {
        Real strike;
        if (calibration_ == "ATM") {
            strike = Null<Real>();
        } else if (calibration_ == "Deal") {
            strike = calibrationStrikes_[i].empty() ? Null<Real>() : calibrationStrikes_[i][0];
        } else {
            QL_FAIL("BlackScholesModelBuilder: calibration '" << calibration_ << "' not known, expected ATM or Deal");
        }
        volTimesStrikes.push_back(std::vector<std::pair<Real, Real>>());
        for (Size j = 1; j < discretisationTimeGrid_.size(); ++j) {
            volTimesStrikes.back().push_back(std::make_pair(discretisationTimeGrid_[j], strike));
        }
    }
    return volTimesStrikes;
}

Member Data Documentation

calibration_

const std::string calibration_

private

Definition at line 54 of file blackscholesmodelbuilder.hpp.

calibrationStrikes_

const std::vector<std::vector<Real> > calibrationStrikes_

private

Definition at line 55 of file blackscholesmodelbuilder.hpp.